how scalable is this strategy?
friend asks "how do i know how scalable this strategy is?"
one very simple thing you can do to get an idea, is to look at the decay in simulated performance when you delay acting upon your signals.
how much worse does it look if you delay your rebalance trades by 15m, 60m, 4h etc?
slow decay means you might have a chance of sizing it up.
if it falls off a cliff, you probably gotta stay small and nimble in that strategy.
we're always trading at other people's prices and can only eat what we are fed.
beep....boop